The 'Monsoon Effect' in Indian Equity Market
28 Pages Posted: 23 Oct 2014 Last revised: 24 Oct 2014
Date Written: October 23, 2014
Seasonal variation and calendar anomalies are known phenomena in equity markets worldwide. Many researchers have studied day-of-the-month, day-of-the-week, month-of-the-year, tax loss hypothesis and SAD cycle in equity markets across countries. There has been many evidences of calendar anomalies in Indian equity market. India being a developing country is heavily dependent on monsoon for economic growth. Equity market being lead indicator of economy should be influenced by monsoon in India. This paper attempts to understand the impact of monsoon on Indian equity market. We found in the research that there is significant impact of monsoon on Indian equity market. The post monsoon period is found to have almost double return compared to pre - monsoon period. The pre-monsoon and post monsoon returns are found to be statistically different based on regression analysis.
Keywords: Colander anomalies, Seasonality, efficient market hypothesis, stock trading, market timing, monsoon effect
JEL Classification: C50, C51, C52, G10, G14
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